Guidelines on securitisation repository data completeness and consistency thresholds

[INSERT SHERPA REFERENCE] [INSERT SHERPA REFERENCE] 10 July 2020 | ESMA33-128-1217 Guidelines On securitisation repository data completeness and consistency thresholds

10 July 2020 | ESMA33-128-1217 Contents I. Scope............................................................................................................................. 3 II. Legislative references, abbreviations and definitions...................................................... 3 III. Purpose.......................................................................................................................... 4 IV. Compliance and reporting obligations ......................................................................... 4 V. Guidelines on securitisation repository data completeness and consistency thresholds . 5 VI. Annex ......................................................................................................................... 7

10 July 2020 | ESMA33-128-1217 I. Scope Who?

1. These guidelines apply to securitisation repositories. What?
2. These guidelines apply in relation to the obligation for securitisation repositories to verify that the use of ‘No Data Options’ in a data submission does not prevent the submission from being sufficiently representative of the underlying exposures in the securitisation pursuant to Article 4(2)(d) of the Securitisation Repository Operational Standards Delegated Regulation. When?
3. These guidelines will be translated into all official EU languages and published on ESMA’s website. ESMA will consider these Guidelines for the purpose of its supervision as of 1 January 2021. II. Legislative references, abbreviations and definitions Legislative references ESMA Regulation Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC ( 1 ) Securitisation Regulation Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 ( 2 ) Securitisation Repository Operational Standards Delegated Regulation Commission Delegated Regulation (EU) 2020/1229 of 29 November 2019 ( 3 ) supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on securitisation repository operational standards for data 1 OJ L 331, 15.12.2010, p. 84. 2 OJ L 347, 28.12.2017, p. 35. 3 OJ L 289, 03.09.2020, p. 335.

4 collection, aggregation, comparison, access and verification of completeness and consistency Securitisation Disclosure Requirements Delegated Regulation Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 ( 4 ) supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE Abbreviations ESMA European Securities and Markets Authority Definitions applicable ‘No Data Options’ the 'No Data Options’ set out in Article 9(3) of the Securitisation Disclosure Requirements Delegated Regulation, excluding ‘ND5’ exposure type report the information referred to in one of Annexes II to XI of the Securitisation Disclosure Requirements Delegated Regulation which is reported in a data submission for a securitisation, excluding information on inactive underlying exposures referred to in Article 2(5)(b) of that Regulation III. Purpose 4. These guidelines are based on Article 16(1) of the ESMA Regulation. The objectives of these guidelines are to establish consistent, efficient and effective supervisory practices within the European System of Financial Supervision and to ensure the common, uniform and consistent application of the Securitisation Regulation. These guidelines achieve these objectives by describing thresholds for when the use of ‘No Data Options’ prevent the data submission from being ‘sufficiently representative of the underlying exposures in the securitisation’ within the meaning of Article 4(2)(d) of the Securitisation Repository Operational Standards Delegated Regulation. IV. Compliance and reporting obligations Status of the guidelines 5. In accordance with Article 16(3) of the ESMA Regulation, securitisation repositories must make every effort to comply with these guidelines. 4 OJ L 289, 03.09.2020, p. 1.

5 6. ESMA will assess the application of these guidelines by securitisation repositories through its ongoing direct supervision. Reporting requirements 7. Securitisation repositories are not required to report whether they comply with these guidelines. V. Guidelines on securitisation repository data completeness and consistency thresholds 8. Securitisation repositories should verify that the ‘No Data Options’ do not prevent the data submission from being sufficiently representative of the underlying exposures in the securitisation in accordance with Article 4(2)(d) of the Securitisation Repository Operational Standards Delegated Regulation by determining: (a) the individual field percentages of applicable ‘No Data Options’ for each exposure type report in that data submission; and (b) whether the number of those percentages exceeds any of the thresholds applicable to those exposure type reports. 9. For the purposes of point (a) of paragraph 8, securitisation repositories should determine the individual field percentages of applicable ‘No Data Options’ for an exposure type report by: (a) determining the number of applicable ‘No Data Options’ reported in each field in that exposure type report; and (b) dividing each of those field numbers by the total number of underlying exposures reported in that exposure type report. 10. For the purposes of point (b) of paragraph 8, securitisation repositories should determine whether the number of individual field percentages of applicable ‘No Data Options’ for an exposure type report exceeds the thresholds applicable to that exposure type report by determining: (a) the number of individual field percentages in the exposure type report that are: (i) greater than 0% and below 10% (‘Threshold 1 percentage occurrence’); and (ii) equal to or greater than 10% (‘Threshold 2 percentage occurrence’); (b) whether the Threshold 1 percentage occurrence exceeds Threshold 1 set out in Annex A applicable to that exposure type report; and

6 (c) whether the Threshold 2 percentage occurrence exceeds Threshold 2 set out in Annex A applicable to that exposure type report. 11. If either threshold set out in Annex A is exceeded for any of the exposure type reports in the data submission, securitisation repositories should consider that the ‘No Data Options’ prevent that data submission from being sufficiently representative of the underlying exposures in accordance with Article 4(2)(d) of the Securitisation Repository Operational Standards Delegated Regulation. 12. Example applications of a representativeness verification in accordance with paragraphs 8 to 11 for sample exposure type reports on ‘residential real estate’ within a data submission for a securitisation is provided in Annex B.

7 VI. Annex ANNEX A Thresholds applicable to the exposure type reports Annex in Securitisation Disclosure Requirements Delegated Regulation Exposure type report Threshold 1 Threshold 2 II Residential Real Estate 30 30 III Commercial Real Estate 50 50 IV Corporate 35 35 V Automobile 15 15 VI Consumer 15 15 VII Credit card 10 10 VIII Leasing 15 15 IX Esoteric 61 61 X Add-On for Non￾Performing Exposures 203 203 XI Asset-Backed Commercial Paper 39 39

10 July 2020 | ESMA33-128-1217 ANNEX B Part 1: Example application of a representativeness verification of a sample exposure type report with 100 underlying exposures of residential real estate Loan # Resident Geographic Region - Obligor Employment Status Primary Income Primary Income Verification Origination Date Maturity Date Origination Channel Purpose Debt To Income Ratio (%) Interest Rate Type Current Interest Rate Margin (%) Interest Rate Reset Interval (months) Original Loan-To￾Value (%) 1 Y BE351 PUBLIC SECTOR EUR 30,478 ND1 2010-03-01 2026-12-17 BROKER PURCHASE 5 FLOATING 1.51 3 45 2 Y BE351 PUBLIC SECTOR EUR 60,324 ND1 2014-05-27 2032-09-17 INTERNET PURCHASE 28 FLOATING 1.52 3 50 3 Y BE351 PRIVATE SECTOR EUR 33,678 ND1 2011-02-15 2030-07-09 INTERNET PURCHASE 9 FIXED ND5 ND5 31 4 Y BE351 ND1 2010-07-04 2032-07-26 ND1 FIXED ND5 ND5 ND1 5 N BE351 ND1 2009-03-05 2027-07-06 ND1 FIXED ND5 ND5 ND1 6 N BE351 ND1 EUR 74,308 ND1 2009-01-10 2025-12-24 ND1 FIXED ND5 ND5 ND1 7 N BE351 ND1 EUR 89,875 ND1 2008-03-19 2029-08-15 BRANCH ND1 ND1 FIXED ND5 ND5 ND1 8 Y BE201 PRIVATE SECTOR EUR 23,304 ND1 2016-11-20 2031-08-15 BRANCH EQUITY RELEASE 15 FLOATING 1.23 6 56 9 Y BE201 PRIVATE SECTOR EUR 27,336 ND1 2017-12-05 2035-07-18 BRANCH CONSTRUCTION 27 FIXED ND5 ND5 55 10 Y BE201 PRIVATE SECTOR EUR 45,479 ND1 2011-02-05 2027-08-14 INTERNET CONSTRUCTION 11 FIXED ND5 ND5 58 11 Y BE201 PRIVATE SECTOR EUR 25,322 ND1 2014-09-06 2033-03-11 INTERNET CONSTRUCTION 9 FLOATING 1.29 6 57 12 Y BE201 PRIVATE SECTOR EUR 89,267 ND1 2011-03-28 2031-03-24 BRANCH PURCHASE 14 FLOATING 1.73 6 37 13 Y BE201 PRIVATE SECTOR EUR 97,123 ND1 2010-11-16 2032-11-03 BRANCH PURCHASE 16 FLOATING 1.56 6 58 14 Y BE442 PRIVATE SECTOR EUR 20,948 ND1 2009-11-09 2027-12-22 BRANCH PURCHASE 13 FLOATING 1.08 6 39 15 Y BE442 ND1 2009-11-04 2026-09-18 ND1 FIXED ND5 ND5 63 16 Y BE442 ND1 2008-08-27 2030-02-08 ND1 FIXED ND5 ND5 64 17 Y BE442 PUBLIC SECTOR EUR 39,029 ND1 2017-04-15 2031-10-30 ND1 FIXED ND5 ND5 33 18 Y BE442 PRIVATE SECTOR EUR 75,081 ND1 2018-07-09 2036-02-17 ND1 FIXED ND5 ND5 43 19 N BE442 PRIVATE SECTOR EUR 52,688 ND1 2011-11-25 2028-08-10 BRANCH PURCHASE 16 FLOATING 1.43 6 41 20 N BE442 PRIVATE SECTOR EUR 35,467 ND1 2015-03-11 2033-04-26 BRANCH PURCHASE 7 FLOATING 1.26 6 62 . . . . . [ND1] . . . . . . . . . . . . . . [ND1] . . . . . . . . . . . . . . [ND1] . . . . . . . . . 100 Y BE331 UNEMPLOYED EUR 95,741 ND1 2017-05-20 2032-04-07 BRANCH PURCHASE 8 FIXED ND5 ND5 55 Memo: Are options ND1-ND4 allowed in this field? NO NO YES NO YES % use of No Data options N/A N/A 6% 4% 100% 0% 0% 7% 8% 8% N/A 4%

9 Part 2: Example application of a representative verification of four scenarios of the residential real estate exposure type report Applicable Thresholds Exposure type report Residential real estate Threshold 1 30 Threshold 2 30 Perform Check 1 Scenario 1 Scenario 2 Scenario 3 Scenario 4

1. What is the percentage threshold? 10% 10% 10% 10%
2. What is the number of individual fields where the percentage of ‘No Data Options’ is greater than 0% and below 10% (Threshold 1 percentage occurrence)? 10 14 31 34
3. What is Threshold 1? (i.e. the number of fields threshold for check 1) 30
4. Is the Threshold 1 percentage occurrence below Threshold 1? (Yes = PASS / No = FAIL) PASS PASS FAIL FAIL Perform Check 2
5. What is the percentage threshold? 10% 10% 10% 10%
6. What is the number of individual fields where the percentage of ‘No Data Options’ is equal to or greater than 10% (Threshold 2 percentage occurrence)? 16 32 18 33
7. What is Threshold 2? (i.e. the number of fields threshold for check 2) 30
8. Is the Threshold 2 occurrence below Threshold 2? (Yes = PASS / No = FAIL) PASS FAIL PASS FAIL ACTION TO BE TAKEN BY THE SECURITISATION REPOSITORY IN RESPECT OF THE REPRESENTATIVENESS VERIFICATION OF THE DATA SUBMISSION: ACCEPT REJECT